Thank you for the swift reply, @cmccullough1967!
I’ve followed your advice and re-saved my wordpress timezone settings.
In the Events-timezone settings, I had a button to activate multiple timezones, nothing for updating the time zone data. I activated multiple timezones now – but configured the setting to use one time zone for the whole site.
However, the warning is still on an events page when I edit it. I haven’t yet seen a negative effect though.
Any other hints?